Incorporating single and multiple losses in operational risk: a multi-period perspective

URN to cite this document:: urn:nbn:de:bvb:355-epub-353900
DOI to cite this document:: 10.5283/epub.35390

Mizgier, Kamil J.

; Wimmer, Maximilian

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Date of publication of this fulltext: 16 Mar 2017 09:18

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Abstract

Operational disruptions can have serious repercussions for firms over extended periods of time. In this work, we develop a multi-period model of operational risk. We define the loss process of operational disruptions as a sum of events triggering single and multiple losses. We empirically validate our approach using an extensive dataset of operational disruptions experienced by firms from the ...